Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems

By Desmond John Higham, Peter E. Kloeden. 2007

87 citations recorded by the source corpus.

Subfields: Computational Mechanics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/f1b402c880430e074c5ee1c894154550e41d634b

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Computational Mechanics

1. Martin Hutzenthaler
2. Martin Hairer
3. Arnulf Jentzen
4. Xuerong Mao

In Finance

1. Arnulf Jentzen
2. Martin Hutzenthaler
3. Martin Hairer
4. Xuerong Mao
5. Sotirios Sabanis
6. Peter K. Friz
7. Massimiliano Gubinelli
8. Peter E. Kloeden

In Management Science and Operations Research

1. Martin Hutzenthaler
2. Martin Hairer
3. Arnulf Jentzen
4. Sotirios Sabanis
5. Xuerong Mao

Citations in the corpus

• Loss of regularity for Kolmogorov equations (2012, background): “Almost sure convergence rates of many numerical schemes such as the standard Euler method or the higher order Milstein method are well known for the SDE (6) and even for a much larger class of nonlinear SDEs; see Gyöngy [23] and Jentzen, Kloeden & Neuenkirch [39].”